Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes

DOI10.1007/s10957-020-01756-0zbMath1462.49049OpenAlexW3090625796MaRDI QIDQ2025294

Chuan Xu, Negash G. Medhin

Publication date: 11 May 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-020-01756-0

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic differential gamejump-diffusion processnonzero-sum reinsurance game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic games, stochastic differential games (91A15) Hamilton-Jacobi equations (35F21) Jump processes on general state spaces (60J76)

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